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ICE Data Services’ Corporate Bond Liquidity Tracker
ICE Data Services has established a means of tracking liquidity conditions in fixed income markets, in response to a request from ICMA.

With the permission of ICE Data Services, ICMA intends to publish and monitor the ICE Data Services’ Corporate Bond Liquidity Tracker on a quarterly basis. Currently the trackers cover IG and HY corporate bond markets for EUR, USD, and GBP.

June 2018



The trackers are of particular interest going into 2018 in light of the implementation of MiFID II/R and the potential implications for EUR and GBP corporate bond market liquidity. While there is the usual seasonal decline in liquidity across all markets going into year-end, EUR and GBP IG and HY liquidity initially seems to recover quite quickly, reverting to pre-year-end levels, which corroborates the anecdotal evidence provided in ICMA’s various post-MiFID workshops. Perhaps more notable is the sharp drop in liquidity in USD IG and HY in early February, which seems to be closely correlated with the sell-off in US credit spreads. Over Q2 of 2018, a marked decline can be observed for EUR and GBP HY, falling close to or below year-end liquidity levels respectively. In contrast, GBP IG followed a positive trend while EUR IG liquidity declined slightly.

ICE Liquidity Tracker

ICE Liquidity Trackers are designed to reflect average liquidity across global markets. The ICE Liquidity Trackers are bounded from 0 to 100, with 0 reflecting a weighted-average liquidity cost estimate of 10% and 100 reflecting a liquidity cost estimate of 0%. The ICE Liquidity Trackers are directly relatable to each other, and therefore, the higher the level of the ICE Liquidity Tracker the higher the projected liquidity of that portfolio of securities at that point in time, as compared with a lower level. Statistical methods are employed to measure liquidity dynamics at the security level (including estimating projected trade volume capacity, projected volatility, projected time to liquidate and projected liquidation costs) which are then aggregated at the portfolio level to form the ICE Liquidity Trackers by asset class and sector. ICE Data Services incorporates a combination of publicly available data sets from trade repositories as well as proprietary and non-public sources of market colour and transactional data across global markets, along with evaluated pricing information and reference data to support statistical calibrations.


Historical tracker data and commentary from previous quarters can be found below:

March 2018

December 2017

September 2017

June 2017

March 2017

December 2016

September 2016

July 2016




Contacts:

Andy Hill
Senior Director, Market Practice and Regulatory Policy; secretary to the ICMA Secondary Market Practices Committee.
Direct line: +44 20 7213 0335
EMAIL | DOWNLOAD BUSINESS CARD

Gabriel Callsen
Associate, Market Practice and Regulatory Policy
Direct line: +44 20 7213 0334
EMAIL | DOWNLOAD BUSINESS CARD